Special Executive Report

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1 Special Executive Report S-6037 NEW LAUNCH DATE FOR CLEARING SERVICES FOR 26 CME WM/REUTERS OTC FOREIGN EXCHANGE CASH SETTLED FORWARDS ( CSF ) TRANSACTIONS AND U.S. DOLLAR / PERUVIAN NUEVO SOL NON-DELIVERABLE FORWARD (NDF) TRANSACTIONS, EFFECTIVE MONDAY, DECEMBER 19, 2011 Effective Sunday, December 18, 2011, for the clearing date of Monday, December 19, 2011, Chicago Mercantile Exchange Inc. ( CME ) will offer clearing services for twenty-six ( 26 ) foreign exchange ( FX ) pairs for innovative over-the-counter ( OTC ) cash-settled forward ( CSF ) transactions: Australian Dollar ( AUD ) / U.S. Dollar ( USD ), USD / Swiss Franc ( CHF ), USD / Canadian Dollar ( CAD ), New Zealand Dollar ( NZD ) / USD, USD / Norwegian Krone ( NOK ), USD / Swedish Krona ( SEK ), USD / Denmark Krone ( DKK ), Euro ( EUR ) / USD, USD / Japanese Yen ( JPY ), Great British Pound ( GBP ) / USD, USD / Mexican Peso ( MXN ), USD / Singapore Dollar ( SGD ), USD / Polish Zloty ( PLN ), USD / South African Rand ( ZAR ), AUD/JPY, EUR/AUD, CAD/JPY, EUR/GBP, EUR/JPY, EUR/CHF, USD / Czech Koruna ( CZK ), USD / Hungarian Forint ( HUF ), USD / Turkish Lira ( TRY ), USD / Israeli Shekel ( ILS ), USD / Thailand Baht ( THB ) and USD / Hong Kong Dollar ( HKD ). Also at this same time, CME is offering clearing services for another OTC cash settlement non-deliverable forward ( NDF ) FX pair, namely, USD / Peruvian Nuevo Sol ( PEN ). The new 26 FX pairs of CME WM/Reuters (co-branded) OTC spot, forward and swap products (also known as CSFs) are cash settled in major currencies (mostly USD) to the OTC FX benchmark WM/Reuters Closing Spot Rates 1 (4 PM London time). Although the 26 CME WMR FX pairs are physically deliverable, CME is introducing cash-settlement forwards in response to customer demand for centrally cleared OTC FX forwards and swaps on major currency pairs. With the advent of the new Dodd-Frank legislation, which mandates the clearing of OTC FX non-deliverable forward ( NDF ) transactions, CME customers are setting up systems to clear the NDF trades and desire to clear major currencies as well in a non-deliverable format. CME has licensed use of the international FX benchmark 4:00 PM London Spot Closing Rates from WM/Reuters to cash settle OTC derivative products. The CME WM/Reuters ( CME WMR ) OTC products broaden significantly CME s current cleared OTC FX product suite of eleven ( 11 ) cash settlement non-deliverable forward ( NDF ) transactions. With the addition of cleared OTC USD/PEN NDF transactions also on Monday, December 19, 2011, the CME cleared FX product suite will total thirty-eight ( 38 ) products: 26 CME WMR and 12 NDFs. OTC FX transactions that are executed bilaterally directly between counterparties, through brokers, ECNs or other FX trading platforms, when submitted to the CME House, are novated for purposes of clearing and application of financial safeguards, bookkeeping, trade processing, and final delivery or cash settlement. These contracts will be carried in the new OTC sequestered account class. CME already introduced clearing services for traditional OTC USD / Chilean Peso (USD/CLP) NDF transactions, beginning on Monday, April 18, 2011, as the first step of a broad product suite. OTC USD/ Brazilian Real ( BRL ) and USD/ Chinese Renminbi ( RMB or CNY ) NDF transactions were added on Monday, October 31, 2011; and USD / Russian Ruble ( RUB ), USD / Korean Won ( KRW ), USD / Colombian Peso ( COP ), USD / Indian Rupee ( INR ), USD / Indonesian Rupiah ( IDR ), USD / Malaysian Ringgit ( MYR ), USD / Taiwan Dollar ( TWD ) and USD / Philippines peso ( PHP ) NDF transactions, were listed for clearing starting Monday, November 14, All of these products were described previously in CME Group Special Executive Report, S-5954, dated Tuesday, September 27, The WM/Reuters Closing Spot Rates are provided by The World Markets Company PLC (WM) in conjunction with Reuters and are used for certain currencies (the Rates ) displayed herein. WM and Reuters shall not be liable for any errors in or delays in providing or making available the WM/Reuters Closing Spot Rates, nor for any actions taken in reliance on the same. The Rates cannot be used, reproduced, distributed, redistributed, licensed or disclosed in any way without a written agreement with WM.

2 Page 2 of 51 A summary of the 26 new cleared CME WM/Reuters OTC FX cash-settlement products and the cleared USD/PEN NDF product follows with 35 appendices of associated rules, definitions and the individual CME Rulebook chapters, which covers these contracts details. Fact sheet summaries of contract specifications for the 27 new OTC product offerings launching on December 19, 2011, appear as Appendices 1 through 27, beginning on page 6. For further information, please contact Craig LeVeille, Director, FX Products, at ( or Sandra Ro, Director, FX Research & Product Development, at 011 (44) ( or Steve Youngren, Associate Director, Research & Product Development at ( New Contracts Cash- Summary Cash-settlement style transactions for 26 physically deliverable currency pairs is facilitated by settling at expiration to the 4:00 PM London time WM/Reuters Closing Spot Rate derived Final Prices. Trades conducted in the interbank standard quotation mechanisms of USD per AUD, CHF per USD, CAD per USD, USD per NZD, NOK per USD, SEK per USD, DKK per USD, USD per EUR, JPY per USD, USD per GBP, MXN per USD, SGD per USD, PLN per USD, ZAR per USD, JPY per AUD, AUD per EUR, JPY per CAD, GBP per EUR, JPY per EUR, CHF per EUR, CZK per USD, HUF per USD, TRY per USD, ILS per USD, THB per USD and HKD per USD may be submitted through CME ClearPort for clearing, cash mark to market and final settlement. At termination, ten of the 26 FX pairs, namely, AUD/USD, NZD/USD, EUR/USD, GBP/USD, USD/CAD, USD/JPY, AUD/JPY, CAD/JPY, EUR/GBP and EUR/JPY will be cash settled in the minimum fluctuation currency of USDs for AUD/USD, NZD/USD, EUR/USD, GBP/USD, and CAD for USD/CAD and JPY for USD/JPY, AUD/JPY, CAD/JPY, EUR/JPY and GBP for EUR/GBP transactions. However, at the request of customers to minimize the number of currency accounts needed to process cashsettled, cleared CME WMR OTC FX transactions, 14 FX pairs, namely, USD/CHF, USD/NOK, USD/SEK, USD/DKK, USD/MXN, USD/SGD, USD/PLN, USD/ZAR, USD/CZK, USD/HUF, USD/TRY, USD/ILS, USD/THB and USD/HKD, which have minor currencies as the minimum fluctuation currency, will have final settlement in USDs rather than the minor currencies. Also, under the same rationale to minimize the number of different FX accounts for customers, final settlement for the CME WMR EUR/AUD and EUR/CHF FX pairs will be in EUR rather than AUD and CHF, respectively. All open positions for any valid value date for cash settlement will be cash settled based upon the difference between the Final Price for the valid value date for cash settlement and the original trade price as submitted for clearing times the notional value of the transaction. However, for the 14 FX pairs including the USD noted above, and the EUR/AUD and EUR/CHF, an additional final step is added. The resulting amount in minimum fluctuation will be converted back into USDs or EURs, as appropriate, by dividing by Final Price. The new cleared OTC USD/PEN NDF transactions cash settle in analogous manner to the existing listed cleared OTC FX NDFs. Final payments at termination are converted into USDs by dividing implied notional payment amount in PEN by the Final Price. Cash settlement of cleared only transactions occurs on a net basis at the customer account level. Please note CME systems are flexible to accommodate any style of quoted trade with any size notional amounts down to the precision of $0.01 and any valid value date. Some notable additional contract details are highlighted as follows. Sequestered Accounts: The contracts are carried as OTC instruments in the clearing system. These positions will be carried in the OTC sequestered account class.

3 Page 3 of 51 Held as True OTC FX Spot & in : s shall remain open until the final cash settlement date, except that participants may request that offsetting positions be compressed prior to contract maturity. Allowable Maturities: CME will accept spot and forward transactions into clearing with delivery or cash settlement dates starting with the next business day for spot and extending outward into the future two years initially for forwards. At a later date, CME expects to expand maturity dates out an additional three years for a total maturity out five years. Swaps: Swap transactions accepted into clearing are a combination (spread) of a spot or forward position and another deferred date forward. CME Set Up Structures for Cleared OTC FX: CME operational infrastructure defines FX pair products by the price nomenclature of the trade. For example, USD/JPY OTC transactions, where the normal quotation mechanism is JPY per USD, will be processed in the clearing structure for transactions quoted in JPY per USD. Normalization Rule: CME Rule 856 NORMALIZATION OF OTC FX SPOT, FORWARD, SWAP AND OPTIONS TRANSACTIONS, enables CME to accept OTC FX transactions negotiated in notional amounts of either currency. OTC FX conventions imply deals to be struck in notional amounts of a specific currency for a given currency pair. For example, the USD/JPY or Dollar/Yen transaction described above defines price in numbers of JPY per USD with the notional amount given in U.S. dollars. The normalization rule explains CME procedures for taking non-standard notional amounts in the contra-currency (here JPY) and normalizing it into standard amounts of base currency (here USD). See Appendix 28 for the Normalization rule. Definitions: New DEFINITIONS have been added to the CME Rulebook to support the Cleared OTC FX initiative. Appendix 29 provides the definitions for the OTC FX initiative. & Limits: Individual entries in the Appendix to Chapter 300 provides either (PA) or Limits (PL) or a combination of both (e.g., PA with spot month PL) depending generally on the liquidity in the underlying OTC instruments and coordinating with existing and similar FX futures and options on futures contracts. Highly liquid underlying FX pair activity enable trigger levels as opposed to finite limits, and less liquid underlying FX pair activity require the more restrictive Limits. Since FX futures, options on FX futures, cleared OTC FX spot, forwards and swaps; and OTC FX options on spot and forwards, are essentially extensions of the same market, CME rules will aggregate positions for an account holder across all of these product lines per FX pair. Notional level equivalents for the existing FX pair futures contracts for and/or Limits are carried over to the Cleared OTC FX rules. Also carried over to the Cleared OTC FX rules is a new provision for an exemption from finite position limits, where the account holder demonstrates a bona fide hedging strategy meeting the requirements of Regulation 1.3(z)(1) of the CFTC and other exchange rules. See Appendix 30 and CME Rule E.8, which provides for the exemptions. Please note, twenty-two of the twenty-six new cleared CME WMR OTC FX products being launched on Monday, December 19, 2011, have underlying FX pair futures and/or options on futures contracts for these same FX pairs that will be listed for cleared OTC transactions (i.e., AUD/USD, USD/CHF, USD/CAD, NZD/USD, USD/NOK, USD/SEK, EUR/USD, USD/JPY, GBP/USD, USD/MXN, USD/PLN, USD/ZAR, AUD/JPY, EUR/AUD, CAD/JPY, EUR/GBP, EUR/JPY, EUR/CHF, USD/CZK, USD/HUF, USD/TRY and USD/ILS). As noted above, CME considers FX futures, options on FX futures, cleared OTC FX spot, forwards and swaps; and OTC

4 Page 4 of 51 FX options on spot and forwards, as essentially extensions of the same market, and CME rules will aggregate positions for an account holder across all of these product lines per FX pair. In instances where there are existing underlying futures and options on futures contracts for the same FX pair, CME is basing the new OTC contract and Limits rules on these underlying, existing futures and options on futures. That is, for purposes of aggregation, positions in the new cleared OTC products will be rolled up in equivalent amounts of currency specified in the corresponding FX pair futures and options on futures and/or Limits rules. Note that in some cases, for example, where the underlying FX futures contract is priced in reciprocal terms to the interbank standard quotation method (IMM terms), position accountability and/or position limits levels are based upon a conversion of the OTC FX unit of clearing currency into the OTC FX minimum price increments currency (to be the same as underlying FX futures contract size currency), using the prior day s Regular Trading Hours settlement price. However, in instances where there are no existing underlying futures or options on futures contracts (such as USD/DKK and USD/SGD), CME is basing new OTC contract and Limit rules on notional contract sizes of 100,000 USDs. See Appendix 30 for additions to the Chapter 5 interpretation table summarizing and Limits rules for the newly listed contracts. For example, if the notional amount for a cleared OTC USD/JPY spot, forward or swap position was 100,000 U.S. dollars, and the daily Regular Trading Hours settlement used for conversion purposes was JPY per USD (also equal to USD per JPY), then 7,708,000 JPY (100,000 USD x JPY per USD) would be charged against the 125 billion JPY all months combined trigger level (10,000 contracts x 12.5 million JPY per futures contract). This calculation method is more obvious to market participants with an OTC background. This also can be calculated in terms of converting the notional OTC transaction into equivalent standard sizes of futures contracts and charging that amount against the 10,000 futures contract all months combined trigger level. For example, a 100,000 USD notional OTC transaction would equal standard futures size contracts against the 10,000 futures contract all months combined Level (100,000 USD x JPY per USD = 7,708,000 JPY divided by 12,500,000 JPY per standard size contract = standard size contracts charged against the 10,000 contract all months combined trigger level, thus leaving 9, standard size contracts available before the level becomes hit). This calculation method is more obvious to market participants with a futures product background. However, both calculation methods illustrated represent the same relationship. Also, CME is continuing its Limits and rule structure for the twentysix new Cleared CME WMR Settled Transactions in an analogous manner to the existing Cleared OTC FX Spot, Forward and Swap Transactions, where positions are aggregated for a given FX pair that settle generally between the second and third Wednesdays (inclusive) of March, June, September and December. The OTC portion of such cross-currency swaps will roll up into the Spot Limit rule, but will be in effect during the week preceding CME FX futures terminations. See Appendix 31 for the Limits and rules in the CME WMR Cash Settled contract chapter, Appendix 32 for the and Spot Limits for the cleared OTC USD/PEN NDF, and the 5.C. Limit and Reportable Level Table in the Interpretations section of Chapter 5 (Appendix 30). Reportable s: As with the other already introduced cleared OTC FX products, service bureaus used by clearing firms do not have the capability to aggregate cleared OTC FX positions of clearing firm customers for subsequent reporting of the information by the clearing firms to the CFTC and CME. Therefore, CME has not set reportable level requirements characteristic of FX

5 Page 5 of 51 futures and options contracts at this time for the cleared OTC FX spot, forward and swap products. However, as noted in the section above, CME will aggregate cleared OTC spot, forward and swap positions by account holder for and Limits purposes. Rule and Associated Document Revisions: Appendix 30 provides amendments to the Chapter 5 Interpretations section table, which summarizes the Limit and Reportable Levels for CME products. The revisions indicate the addition of the relevant information for the 27 new cleared OTC FX products being listed for clearing starting Monday, December 19, Also, two inadvertent corrections are made, one to delete a reference to a U.S. Dollar/Argentine Peso OTC product, which CME has not proposed at this time; and another to correct the spot month position limit level from the 20,000 to 2,000 contracts for the cleared USD/KRW OTC product to align with the corresponding KRW/USD futures contract spot month position limit. Appendix 31 provides the CME Rulebook chapter containing the twenty-six new CME WMR OTC CSFs being launched on Monday, December 19, Please note that, with additions underlined and deletions bracketed and overstruck, minor revisions were made to the contract rules for the cash settlement section for the CME WMR OTC Spot, Forward and Swap Contracts. In one change, CME added a second sentence to the preexisting second paragraph of CME Rule A. This additional sentence in the rule plus an analogous single-asterisked footnote added to the Chapter 300 Appendix denotes the additional step at final cash settlement, where for several asterisked FX pairs, the final calculated minimum fluctuation currency amount is converted into the Trading and Currency by dividing by the Final Price. This action minimizes the number of different currency accounts that customers will need to open in order to participate in this cleared OTC FX offering. For example, for 14 of the 26 new CME WMR OTC CSFs launching on December 19, 2011, the final settlement amount will be converted into USDs from CHF, NOK, SEK, DKK, MXN, SGD, PLN, ZAR, CZK, HUF, TRY, ILS, THB and HKD, eliminating the need for customers to maintain accounts in these 14 currencies. A new additional second paragraph for CME Rule A. denotes that in some cases, the Final Prices for a given FX pair will be calculated using the appropriate WM/Reuters Closing Spot Rates for component currency pairs. For example, the AUD/JPY Final Price will be calculated by multiplying the two WM/Reuters 4 PM London time Closing Spot Rates for AUD/USD and USD/JPY; therefore, the AUD/JPY Final Price is derived from those two FX pairs Final Prices. Double asterisks and an explanatory footnote in the Appendix table to Chapter 300 clearly identify those FX pairs that are calculated in this way. Lastly, for CME Rule A., a fourth paragraph is added to define the movement of the final payment amount between the CME House and buyers and sellers, when the calculation of that final payment amount is positive or negative. This language had been adopted previously by CME for many of the cleared OTC FX NDF products and is being included also for the cleared CME WM/Reuters OTC FX products and those cleared OTC FX NDF offerings where CME has an underlying futures contract for the same FX pair. Appendix 32 provides the CME Rulebook Chapter 277H. Cleared OTC U.S. Dollar / Peruvian Nuevo Sol (USD/PEN) Spot, Forward and Swaps. CME is amending CME Rule 277H.02.A. Day of Cash to make the rule provision for number of decimals (six) of the Final Price calculation to align with the decimal notation for the minimum price increment (six). Note also in Appendix 34, the table accompanying the Appendix 33 description of the cash mark to market method, four amendments were made to the Value and MTMCur columns to enable daily mark to market and performance bonds in the same currencies as Final for the CME WMR OTC CSF contracts. This action helps limit the need for customers to have so many accounts denominated in minor currencies. These changes noted in this paragraph are not CME Rulebook amendments.

6 Page 6 of 51 The first part of Appendix 35 reprints two rule changes previously noted in CME Group Special Executive Report, S-5997, dated Monday, November 7, The first is changing the tick size for the cleared OTC USD/KRW NDF from to 0.01 KRW per USD to coincide with the OTC market convention for both spot and forward quotation of the KRW versus the USD. There are no open positions in the cleared USD/KRW NDF. Also, an erroneous third paragraph to CME Rule 273H.02.A. Day of Cash for the cleared OTC USD/COP NDF is deleted, given that it does not apply to the product. Finally, as mentioned above briefly and also included in Appendix 35, CME is adding language to four already listed, cleared OTC FX NDF products cash settlement sections to mirror procedures and documentation for the other cleared OTC FX NDF products to define movement of the final payment amount at termination between CME and the buyers and sellers in the transaction. This language is also consistent with the soon to be listed 26 cleared WM/Reuters OTC FX CSFs. The four products to be amended are cleared OTC USD/RUB, USD/BRL, USD/CNY and USD/ KRW non-deliverable forwards. All of these are revisions to the rules originally published previously in CME Group Special Executive Report, S-5954, dated Tuesday, September 27, Cleared Only Transactions: CME Group does not intend at this time to provide a trading platform for such transactions. Rather, such transactions will be executed on a bi-lateral, privately negotiated basis amongst the two counterparties. These transactions are submitted to the CME House on a post-trade basis. Once submitted and accepted ( novated ) to the CME House, these transactions are assigned the trade type OPNT which acronym stands for Over-the-counter Privately Negotiated Trade. & Daily Mark-to-Market As of Sunday, October 30, 2011, for the trade date of Monday, October 31, 2011, CME moved from a collateralization method of valuing open positions in cleared only OTC FX spot, forward and swap transactions, to a daily mark-to-market in cash method. See CME Group Special Executive Report, S-5982, dated Tuesday, October 18, Currently, CME has deployed the SPAN system to establish performance bond or margin requirements for FX spot, forwards and swaps. Initial performance bond requirements are established at levels that are consistent with observed levels of volatility in the particular currency pairing and generally aligned with initial margin levels applied to current CME FX futures and option contracts, where applicable. These components of the clearing system are unchanged. However, the administration of the new margin regime will require a daily mark-to-market (MTM) on a cash basis, similar to traded FX futures. Variation margins may be satisfied with the posting of appropriate amounts of collateral, where CME collects and pays in cash between the counterparties each day. CME will accept as collateral cash or any other instruments currently designated as approved collateral for posting for performance bonds. In order to calculate variation requirements, settlement prices will be established for each contract and for each delivery date referencing data collected from a variety of market sources. Appendices 33 and 34 contain detailed descriptions of the cash mark-tomarket method of performance bond administration. The difference between former collateralization mark-to-market and cash mark-to-market is explained.

7 Page 7 of 51 Appendix 1 Cleared Only CME WMR Great British Pounds/U.S. Dollar Transactions Hours GBP/USD Spot, and Swaps Units of 1 Great British Pound (GBP) in any amount down to a precision of 0.01 GBP U.S. dollar (USD) per Great British Pound (GBP) for buy or sell Forward: Spot = Forward Points= = USD per GBP for buy or sell Swap: Spot = USD per GBP for buy (sell) Frwd = USD per GBP for sell (buy) U.S. dollar per British pound, equivalent to U.S. Dollar for spot, forward and swap FX OTC cleared transactions. bonds denominated in USD. CME will calculate daily pays & collects in USD, and bank them as daily pays and collects in USD. Sundays through Fridays: ClearPort clearing hours are 6:00 p.m. (Eastern Time) Sundays through 5:15 p.m. (Eastern Time) Fridays (5:00 p.m. Central time on Sundays through 4:15 p.m. Central Time on Fridays), with a 45-minute halt in trading each day between 5:15 p.m. ET for the current trade date and 6:00 p.m. ET for the next trade date (4:15 p.m. CT for the current trade date and 5:00 p.m. CT for the next trade date). Cleared only GBP/USD spot, forwards, and swaps contracts shall be cash settled for any valid value date(s) mutually agreed to by buyer and seller, and accepted by the Exchange for the applicable currency pair as a valid value date(s) for cash settlement and clearing. In general, for any currency pair, a valid value date shall be any business day that is a banking business day in the countries of issue for both currencies. Cleared only spot, forward and swap transactions may be submitted for clearing on any Exchange business day. Each GBP/USD spot contract, for the valid value date for cash settlement in two business days is liquidated by cash settlement at a price equal to the daily Final Price for that day. The daily Final Price shall be equal to the 4:00 p.m. London time WM/Reuters GBP/USD Closing Spot Rate published by the World Markets Company PLC (WM) in conjunction with Reuters and representing spot trading of U.S. dollars per British pounds on that day as defined in CME Rule Cash. Normally, this fixing rate is published at 4:00 p.m. London time (10:00 a.m. CST) on each United Kingdom and United States business day for foreign exchange trading. The Final Price shall be expressed to six (6) decimal places. All open positions for that valid value date for cash settlement will be cash settled in USD based upon the difference between the Final Price for the valid value date for cash settlement and the original trade price as submitted for clearing, multiplied by the notional value of the transaction in GBP. In the event, this USD amount is positive, then the House shall debit the seller s clearing member account and credit the buyer s clearing member account for this amount in USD. In the event, this USD amount is negative, then the House shall debit the buyer s clearing member account and credit the seller s clearing member account for this amount in USD. For example, if the WM/Reuters GBP/USD Closing Spot Rate in U.S. dollars per British pound for the valid value date for cash settlement in two business days, is as follows: USD per GBP, and the original trade price submitted for clearing by clearing firms of the buyer and seller was USD per GBP for a notional amount of 100,000 GBP, then the House on the valid value date for cash settlement shall credit the clearing member account for the buyer with USD (i.e., USD per GBP USD per GBP = ( USD per GBP x 100,000 GBP) = USD). Similarly, the House on the valid value date for cash settlement shall debit the clearing member account for the seller with USD. For purposes of cleared only positions, the applicable position accountability level across all contract months shall be in notional terms of 625 million GBP (10,000 net contract equivalents at 62,500 GBP notional per synthetic contract). The WM/Reuters Closing Spot Rates are provided by The World Markets Company PLC (WM) in conjunction with Reuters and are used for certain currencies (the Rates ) displayed herein. WM and Reuters shall not be liable for any errors in or delays in providing or making available the WM/Reuters Closing Spot Rates, nor for any actions taken in reliance on the same. The Rates cannot be used, reproduced, distributed, redistributed, licensed or disclosed in any way without a written agreement with WM.

8 Page 8 of 51 Appendix 2 Cleared Only CME WMR U.S. Dollar/Canadian Dollar Transactions USD/CAD Spot, and Swaps Units of 1 U.S. Dollar in any amount down to a precision of 0.01 U.S. Dollar Canadian dollar (CAD) per U.S. dollar (USD) for buy or sell Hours Forward: Spot = Forward Points= = CAD per USD for buy or sell Swap: Spot = CAD per USD for buy (sell) Frwd = CAD per USD for sell (buy) Canadian dollar per U.S. dollar, equivalent to Canadian dollar for spot, forward and swap FX OTC cleared transactions. bonds denominated in CAD. CME will calculate daily pays & collects in CAD, and bank them as daily pays and collects in CAD. Sundays through Fridays: ClearPort clearing hours are 6:00 p.m. (Eastern Time) Sundays through 5:15 p.m. (Eastern Time) Fridays (5:00 p.m. Central time on Sundays through 4:15 p.m. Central Time on Fridays), with a 45-minute halt in trading each day between 5:15 p.m. ET for the current trade date and 6:00 p.m. ET for the next trade date (4:15 p.m. CT for the current trade date and 5:00 p.m. CT for the next trade date). Cleared only USD/CAD spot, forwards, and swaps contracts shall be cash settled for any valid value date(s) mutually agreed to by buyer and seller, and accepted by the Exchange for the applicable currency pair as a valid value date(s) for cash settlement and clearing. In general, for any currency pair, a valid value date shall be any business day that is a banking business day in the countries of issue for both currencies. Cleared only spot, forward and swap transactions may be submitted for clearing on any Exchange business day. Each USD/CAD spot contract, for the valid value date for cash settlement in one business day, is liquidated by cash settlement at a price equal to the daily Final Price for that day. The daily Final Price shall be equal to the 4:00 p.m. London time WM/Reuters USD/CAD Closing Spot Rate published by the World Markets Company PLC (WM) in conjunction with Reuters and representing spot trading of Canadian dollars per U.S. dollars on that day as defined in CME Rule Cash. Normally, this fixing rate is published at 4:00 p.m. London time (10:00 a.m. CST) on each United States and Canadian business day for foreign exchange trading. The Final Price shall be expressed to six (6) decimal places. All open positions for that valid value date for cash settlement will be cash settled in CAD based upon the difference between the Final Price for the valid value date for cash settlement and the original trade price as submitted for clearing, multiplied by the notional value of the transaction in USD. In the event, this CAD amount is positive, then the House shall debit the seller s clearing member account and credit the buyer s clearing member account for this amount in CAD. In the event, this CAD amount is negative, then the House shall debit the buyer s clearing member account and credit the seller s clearing member account for this amount in CAD. For example, if the WM/Reuters USD/CAD Closing Spot Rate in Canadian dollars per U.S. dollars for the valid value date for cash settlement in one business day, is as follows: CAD per USD, and the original trade price submitted for clearing by clearing firms of the buyer and seller was CAD per USD for a notional amount of 100,000 USD, then the House on the valid value date for cash settlement shall debit the clearing member account for the buyer with CAD (i.e., CAD per USD CAD per USD = ( CAD per USD x 100,000 USD) = CAD). Similarly, the House on the valid value date for cash settlement shall credit the clearing member account for the seller with CAD. For purposes of cleared only positions, the applicable position accountability trigger level shall be in notional terms of 600 million CAD (6,000 net contract equivalents at 100,000 CAD notional per synthetic contract). The WM/Reuters Closing Spot Rates are provided by The World Markets Company PLC (WM) in conjunction with Reuters and are used for certain currencies (the Rates ) displayed herein. WM and Reuters shall not be liable for any errors in or delays in providing or making available the WM/Reuters Closing Spot Rates, nor for any actions taken in reliance on the same. The Rates cannot be used, reproduced, distributed, redistributed, licensed or disclosed in any way without a written agreement with WM.

9 Page 9 of 51 Appendix 3 Cleared Only CME WMR U.S. Dollar/Japanese Yen Transactions USD/JPY Spot, and Swaps Units of 1 U.S. Dollar in any amount down to a precision of 0.01 U.S. Dollar Japanese yen (JPY) per U.S. dollar (USD) for buy or sell Hours Forward: Spot = Forward Points= = JPY per USD for buy or sell Swap: Spot = JPY per USD for buy (sell) Frwd = JPY per USD for sell (buy) Japanese yen per U.S. dollar, equivalent to Japanese yen for spot, forward and swap FX OTC cleared transactions. bonds denominated in JPY. CME will calculate daily pays & collects in JPY, and bank them as daily pays and collects in JPY. Sundays through Fridays: ClearPort clearing hours are 6:00 p.m. (Eastern Time) Sundays through 5:15 p.m. (Eastern Time) Fridays (5:00 p.m. Central time on Sundays through 4:15 p.m. Central Time on Fridays), with a 45-minute halt in trading each day between 5:15 p.m. ET for the current trade date and 6:00 p.m. ET for the next trade date (4:15 p.m. CT for the current trade date and 5:00 p.m. CT for the next trade date). Cleared only USD/JPY spot, forwards, and swaps contracts shall be cash settled for any valid value date(s) mutually agreed to by buyer and seller, and accepted by the Exchange for the applicable currency pair as a valid value date(s) for cash settlement and clearing. In general, for any currency pair, a valid value date shall be any business day that is a banking business day in the countries of issue for both currencies. Cleared only spot, forward and swap transactions may be submitted for clearing on any Exchange business day. Each USD/JPY spot contract, for the valid value date for cash settlement in two business days, is liquidated by cash settlement at a price equal to the daily Final Price for that day. The daily Final Price shall be equal to the 4:00 p.m. London time WM/Reuters USD/JPY Closing Spot Rate published by the World Markets Company PLC (WM) in conjunction with Reuters and representing spot trading of Japanese yen per U.S. dollars on that day as defined in CME Rule Cash. Normally, this fixing rate is published at 4:00 p.m. London time (10:00 a.m. CST) on each United States and Japanese business day for foreign exchange trading. The Final Price shall be expressed to four (4) decimal places. All open positions for that valid value date for cash settlement will be cash settled in JPY based upon the difference between the Final Price for the valid value date for cash settlement and the original trade price as submitted for clearing, multiplied by the notional value of the transaction in USD. In the event, this JPY amount is positive, then the House shall debit the seller s clearing member account and credit the buyer s clearing member account for this amount in JPY. In the event, this JPY amount is negative, then the House shall debit the buyer s clearing member account and credit the seller s clearing member account for this amount in JPY. For example, if the WM/Reuters USD/JPY Closing Spot Rate in Japanese yen per U.S. dollars for the valid value date for cash settlement in two business days, is as follows: JPY per USD, and the original trade price submitted for clearing by clearing firms of the buyer and seller was JPY per USD for a notional amount of 100,000 USD, then the House on the valid value date for cash settlement shall credit the clearing member account for the buyer with 65,600 JPY (i.e., JPY per USD JPY per USD = ( JPY per USD x 100,000 USD) = +65,600 JPY). Similarly, the House on the valid value date for cash settlement shall debit the clearing member account for the seller with 65,600 JPY. For purposes of cleared only positions, the applicable position accountability level shall be in notional terms of 125 billion JPY (10,000 net contract equivalents at 12,500,000 JPY notional per synthetic contract). The WM/Reuters Closing Spot Rates are provided by The World Markets Company PLC (WM) in conjunction with Reuters and are used for certain currencies (the Rates ) displayed herein. WM and Reuters shall not be liable for any errors in or delays in providing or making available the WM/Reuters Closing Spot Rates, nor for any actions taken in reliance on the same. The Rates cannot be used, reproduced, distributed, redistributed, licensed or disclosed in any way without a written agreement with WM.

10 Page 10 of 51 Appendix 4 Cleared Only CME WMR U.S. Dollar/Swiss Franc Transactions USD/CHF Spot, and Swaps Units of 1 U.S. Dollar in any amount down to a precision of 0.01 U.S. Dollar Swiss franc (CHF) per U.S. dollar (USD) for buy or sell Hours Forward: Spot = Forward Points= = CHF per USD for buy or sell Swap: Spot = CHF per USD for buy (sell) Frwd = CHF per USD for sell (buy) Swiss francs per U.S. dollar, equivalent to Swiss franc for spot, forward and swap FX OTC cleared transactions. bonds denominated in USD. CME will calculate daily pays & collects in CHF, translate these into USD using a daily CHF per USD market rate, and bank them with daily pays and collects in USD. Sundays through Fridays: ClearPort clearing hours are 6:00 p.m. (Eastern Time) Sundays through 5:15 p.m. (Eastern Time) Fridays (5:00 p.m. Central time on Sundays through 4:15 p.m. Central Time on Fridays), with a 45-minute halt in trading each day between 5:15 p.m. ET for the current trade date and 6:00 p.m. ET for the next trade date (4:15 p.m. CT for the current trade date and 5:00 p.m. CT for the next trade date). Cleared only USD/CHF spot, forwards, and swaps contracts shall be cash settled for any valid value date(s) mutually agreed to by buyer and seller, and accepted by the Exchange for the applicable currency pair as a valid value date(s) for cash settlement and clearing. In general, for any currency pair, a valid value date shall be any business day that is a banking business day in the countries of issue for both currencies. Cleared only spot, forward and swap transactions may be submitted for clearing on any Exchange business day. Each USD/CHF spot contract, for the valid value date for cash settlement in two business days, is liquidated by cash settlement at a price equal to the daily Final Price for that day. The daily Final Price shall be equal to the 4:00 p.m. London time WM/Reuters USD/CHF Closing Spot Rate published by the World Markets Company PLC (WM) in conjunction with Reuters and representing spot trading of Swiss franc per U.S. dollars on that day as defined in CME Rule Cash. Normally, this fixing rate is published at 4:00 p.m. London time (10:00 a.m. CST) on each United States and Swiss business day for foreign exchange trading. The Final Price shall be expressed to six (6) decimal places. All open positions for that valid value date for cash settlement will be cash settled in USD based upon the difference between the Final Price for the valid value date for cash settlement and the original trade price as submitted for clearing, multiplied by the notional value of the transaction in USD, and this resulting value in CHF is divided by the Final Price. In the event, this USD amount is positive, then the House shall debit the seller s clearing member account and credit the buyer s clearing member account for this amount in USD. In the event, this USD amount is negative, then the House shall debit the buyer s clearing member account and credit the seller s clearing member account for this amount in USD. For example, if the WM/Reuters USD/CHF Closing Spot Rate in Swiss francs per U.S. dollars for the valid value date for cash settlement in two business days, is as follows: CHF per USD, and the original trade price submitted for clearing by clearing firms of the buyer and seller was CHF per USD for a notional amount of 100,000 USD, then the House on the valid value date for cash settlement shall credit the clearing member account for the buyer with USD (i.e., CHF per USD CHF per USD = ( CHF per USD x 100,000 USD) = CHF / CHF per USD = USD. Similarly, the House on the valid value date for cash settlement shall debit the clearing member account for the seller with USD. For purposes of cleared only positions, the applicable position accountability level shall be in notional terms of 1.25 billion Swiss francs (10,000 net contract equivalents at 125,000 CHF notional per synthetic contract). The WM/Reuters Closing Spot Rates are provided by The World Markets Company PLC (WM) in conjunction with Reuters and are used for certain currencies (the Rates ) displayed herein. WM and Reuters shall not be liable for any errors in or delays in providing or making available the WM/Reuters Closing Spot Rates, nor for any actions taken in reliance on the same. The Rates cannot be used, reproduced, distributed, redistributed, licensed or disclosed in any way without a written agreement with WM.

11 Page 11 of 51 Appendix 5 Cleared Only CME WMR Australian Dollar / U.S. Dollar Transactions Hours AUD/USD Spot, and Swaps Units of 1 Australian Dollar in any amount down to a precision of 0.01 Australian Dollar U.S. dollar (USD) per Australian dollar (AUD) for buy or sell Forward: Spot = Forward Points= = USD per AUD for buy or sell Swap: Spot = USD per AUD for buy (sell) Frwd = USD per AUD for sell (buy) U.S. dollar per Australian dollar, equivalent to U.S. dollar for spot, forward and swap FX OTC cleared transactions. bonds denominated in USD. CME will calculate daily pays & collects in USD, and bank them as daily pays and collects in USD. Sundays through Fridays: ClearPort clearing hours are 6:00 p.m. (Eastern Time) Sundays through 5:15 p.m. (Eastern Time) Fridays (5:00 p.m. Central time on Sundays through 4:15 p.m. Central Time on Fridays), with a 45-minute halt in trading each day between 5:15 p.m. ET for the current trade date and 6:00 p.m. ET for the next trade date (4:15 p.m. CT for the current trade date and 5:00 p.m. CT for the next trade date). Cleared only AUD/USD spot, forwards, and swaps contracts shall be cash settled for any valid value date(s) mutually agreed to by buyer and seller, and accepted by the Exchange for the applicable currency pair as a valid value date(s) for cash settlement and clearing. In general, for any currency pair, a valid value date shall be any business day that is a banking business day in the countries of issue for both currencies. Cleared only spot, forward and swap transactions may be submitted for clearing on any Exchange business day. Each AUD/USD spot contract, for the valid value date for cash settlement in two business days, is liquidated by cash settlement at a price equal to the daily Final Price for that day. The daily Final Price shall be equal to the 4:00 p.m. London time WM/Reuters AUD/USD Closing Spot Rate published by the World Markets Company PLC (WM) in conjunction with Reuters and representing spot trading of U.S. dollars per Australian dollar on that day as defined in CME Rule Cash. Normally, this fixing rate is published at 4:00 p.m. London time (10:00 a.m. CST) on each Australian and United States business day for foreign exchange trading. The Final Price shall be expressed to six (6) decimal places. All open positions for that valid value date for cash settlement will be cash settled in USD based upon the difference between the Final Price for the valid value date for cash settlement and the original trade price as submitted for clearing, multiplied by the notional value of the transaction in AUD. In the event, this USD amount is positive, then the House shall debit the seller s clearing member account and credit the buyer s clearing member account for this amount in USD. In the event, this USD amount is negative, then the House shall debit the buyer s clearing member account and credit the seller s clearing member account for this amount in USD. For example, if the WM/Reuters AUD/USD Closing Spot Rate in U.S. dollars per Australian dollar for the valid value date for cash settlement in two business days, is as follows: USD per AUD, and the original trade price submitted for clearing by clearing firms of the buyer and seller was USD per AUD for a notional amount of 100,000 AUD, then the House on the valid value date for cash settlement shall credit the clearing member account for the buyer with 2, USD (i.e., USD per AUD USD per AUD = ( USD per AUD x 100,000 AUD) = 2, USD). Similarly, the House on the valid value date for cash settlement shall debit the clearing member account for the seller with 2, USD. For purposes of cleared only positions, the applicable position accountability level shall be in notional terms of 600 million Australian dollars (6,000 net contract equivalents at 100,000 AUD notional per synthetic contract). The WM/Reuters Closing Spot Rates are provided by The World Markets Company PLC (WM) in conjunction with Reuters and are used for certain currencies (the Rates ) displayed herein. WM and Reuters shall not be liable for any errors in or delays in providing or making available the WM/Reuters Closing Spot Rates, nor for any actions taken in reliance on the same. The Rates cannot be used, reproduced, distributed, redistributed, licensed or disclosed in any way without a written agreement with WM.

12 Page 12 of 51 Appendix 6 Cleared Only CME WMR U.S. Dollar/Mexican Peso Transactions USD/MXN Spot, and Swaps Units of 1 U.S. Dollar in any amount down to a precision of 0.01 U.S. Dollar Mexican peso (MXN) per U.S. dollar (USD) for buy or sell Hours Forward: Spot = Forward Points= = MXN per USD for buy or sell Swap: Spot = MXN per USD for buy (sell) Frwd = MXN per USD for sell (buy) Mexican peso per U.S. dollar, equivalent to Mexican peso for spot, forward and swap FX OTC cleared transactions. bonds denominated in USD. CME will calculate daily pays & collects in MXN, translate these into USD using a daily MXN per USD market rate, and bank them with daily pays and collects in USD. Sundays through Fridays: ClearPort clearing hours are 6:00 p.m. (Eastern Time) Sundays through 5:15 p.m. (Eastern Time) Fridays (5:00 p.m. Central time on Sundays through 4:15 p.m. Central Time on Fridays), with a 45-minute halt in trading each day between 5:15 p.m. ET for the current trade date and 6:00 p.m. ET for the next trade date (4:15 p.m. CT for the current trade date and 5:00 p.m. CT for the next trade date). Cleared only USD/MXN spot, forwards, and swaps contracts shall be cash settled for any valid value date(s) mutually agreed to by buyer and seller, and accepted by the Exchange for the applicable currency pair as a valid value date(s) for cash settlement and clearing. In general, for any currency pair, a valid value date shall be any business day that is a banking business day in the countries of issue for both currencies. Cleared only spot, forward and swap transactions may be submitted for clearing on any Exchange business day. Each USD/MXN spot contract, for the valid value date for cash settlement in two business days, is liquidated by cash settlement at a price equal to the daily Final Price for that day. The daily Final Price shall be equal to the 4:00 p.m. London time WM/Reuters USD/MXN Closing Spot Rate published by the World Markets Company PLC (WM) in conjunction with Reuters and representing spot trading of Mexican peso per U.S. dollars on that day as defined in CME Rule Cash. Normally, this fixing rate is published at 4:00 p.m. London time (10:00 a.m. CST) on each United States and Mexican business day for foreign exchange trading. The Final Price shall be expressed to six (6) decimal places. All open positions for that valid value date for cash settlement will be cash settled in USD based upon the difference between the Final Price for the valid value date for cash settlement and the original trade price as submitted for clearing, multiplied by the notional value of the transaction in USD, and this resulting value in MXN is divided by the Final Price. In the event, this USD amount is positive, then the House shall debit the seller s clearing member account and credit the buyer s clearing member account for this amount in USD. In the event, this USD amount is negative, then the House shall debit the buyer s clearing member account and credit the seller s clearing member account for this amount in USD. For example, if the WM/Reuters USD/MXN Closing Spot Rate in Mexican pesos per U.S. dollars for the valid value date for cash settlement in two business days, is as follows: MXN per USD, and the original trade price submitted for clearing by clearing firms of the buyer and seller was MXN per USD for a notional amount of 100,000 USD, then the House on the valid value date for cash settlement shall credit the clearing member account for the buyer with -2, USD (i.e., MXN per USD MXN per USD = ( MXN per USD x 100,000 USD) = - 34, MXN / MXN per USD = -2, USD. Similarly, the House on the valid value date for cash settlement shall debit the clearing member account for the seller with - 2, USD. & Spot Limits For purposes of cleared only positions, the applicable position accountability level shall be in notional terms of 3 billion Mexican pesos (6,000 net contract equivalents at 500,000 MXN notional per synthetic contract). Also, for purposes of spot limits, cleared only positions shall not exceed 10 billion Mexican pesos (20,000 net contract equivalents at 500,000 MXN notional per synthetic contract) which are settled in the spot period between the 2nd and 3rd Wednesdays (inclusive) during the months of March, June, September and December. Hedge exemptions from spot limits are available for bona fide hedgers. The WM/Reuters Closing Spot Rates are provided by The World Markets Company PLC (WM) in conjunction with Reuters and are used for certain currencies (the Rates ) displayed herein. WM and Reuters shall not be liable for any errors in or delays in providing or making available the WM/Reuters Closing Spot Rates, nor for any actions taken in reliance on the same. The Rates cannot be used, reproduced, distributed, redistributed, licensed or disclosed in any way without a written agreement with WM.

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